I don't see PositionSize being set. If
not, then it trades 100% of your account on one stock. You did set
MaxOpenPositions, but that is not enough. Since you have 10 MaxOpenPositions
you would need to at least set this to -10 (or 1000). Further, I think if you
get, for example, 100 possible trades with 10 open positions, it's always
going to trade from the top unless you have some priority set via
PositionScore. It appears you do not.
Question: How can these two statements
both be True?
"The net profit just goes downhill like a truck"
"I am not running out of money, it shows
about 600K net profit…"
From HELP on PositionSize and partial on
PositionScore. I have highlighted a couple of things in red.
SETTING UP POSITION SIZE
IMPORTANT: to
enable more than one symbol to be traded you have to add PositionSize variable to your formula, so
less than 100% of funds are invested in single security:
PositionSize = -25; // invest 25%
of portfolio equity in single trade
or
PositionSize = 5000; // invest
$5000 into single trade
There is
a quite common way of setting both position size and maximum
number of open positions so equity is spread equally among trades:
PosQty
= 5; // You can define here how many open positions you
want
SetOption("MaxOpenPositions", PosQty
);
PositionSize = -100/PosQty; // invest 100%
of portfolio equity divided by max. position
count
You can
also use more sophisticated position sizing methods. For example
volatility-based position sizing (Van Tharp-style):
PositionSize = -2 *
BuyPrice/(2*ATR(10));
That way
you are investing investing 2% of PORTFOLIO equity in the trade adjusted
by BuyPrice/2*ATR factor.
USING POSITION SCORE
You can
use new PositionScore variable to decide which trades should be
entered if there are more entry signals on different securities than maximum
allowable number of open positions or available funds. In such case AmiBroker will use the absolute value of PositionScore variable to decide which trades are preferred. See
the code below. It implements simple MA crossover system, but with additional
flavour of preferring entering trades on symbols that have low RSI value. If
more buy signals occur than available cash/max. positions then the stock with
lower RSI will be preferred. You can watch selection process if you backtest
with "Detailed log" report mode turned on.
The code
below includes also the example how to find optimum number of
simultaneously open positions using new Optimization in Porfolio mode.
/*****
** REGULAR PORTFOLIO mode
** This sample optimization
** finds what is optimum
number of positions open
simultaneously
**
****/
SetOption("InitialEquity", 20000
);
SetTradeDelays(1,1,1,1);
RoundLotSize = 1;
posqty
= Optimize("PosQty", 4, 1, 20, 1 );
SetOption("MaxOpenPositions",
posqty);
//
desired position size is 100% portfolio equity
// divided by PosQty
positions
PositionSize =
-100/posqty;
// The
system is very simple...
// MA parameters could
be optimized
too...
p1 = 10;
p2
= 22;
// simple MA
crossover
Short=Cross(
MA(C,p1) , MA(C,p2) );
Buy=Cross( MA(C,p2) , MA(C,p1)
);
// always in the market
Sell=Short;
Cover=Buy;
// now
additional score
// that is used to rank equities
// when there are more ENTRY
signals that available
// positions/cash
PositionScore = 100-RSI(); // prefer stocks that have low
RSI;
--
Terry
-----Original Message-----
From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Roy
Ewing
Sent: Wednesday, December 07, 2005 18:43
To:
amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: How to use
"positionscore" in this formula??
Terry,
Thanks for the tips.
To clarify, I do get an "occasional" "B", "C", and
even a rare "E".
But it is clear when looking at the list that it keeps
going back to
the beginning of the list at the
"A's".
When I use POSITIONSCORE, the scoreing is working, ie
I see a truly
"mixed" group of stocks. The net profit just
goes downhill like a truck.
Here are my settings:
SetOption("InitialEquity", 10000 );
SetOption("MaxopenPositions", 10);
SetOption("AllowPositionShrinking", True ); //No real
impact
SetPositionSize(85,spsPercentOfEquity);
SetTradeDelays(1,1,0,0);//Do not use
Short/Cover
ApplyStop(0,1,5,0,False,0);//Stop Loss at
5%
ApplyStop(2,2,3,0,False,0);//Trailing Stop at 3
Points
In AA I have all STOP SETTINGS
DISABLED.
The effect of POSITIONSCORE on this is still
puzzling.
No, I am not running out of money, it shows about 600K
net profit
over the 5 years. Throw in positionscore = 100 +
mfi() and I get
$458.00 net profit over 5 years. (12/06/2000 -
12/06/2005)
Does not make sense unless I am simply missing
something simple...just
why I asked the group!!
Thanks for the tips.
Roy
--- In amibroker@xxxxxxxxxxxxxxx, "Terry"
<MagicTH@xxxx> wrote:
>
> I haven't followed your question closely so my
advice may be off base,
> but it seems PositionSize may be your problem. If
there are many
> possible trades the backtester will take the
trades until you've spent
> all your money. Sounds like this is happening
before you get out of the
> A's
>
> Try tightening your PositionScore rules to create
less (hopefully
> better) opportunities and set PositionSize to
some smaller fixed value
> like 1000 on a 100,000 portfolio (or -1 for 1% of
portfolio) or similar
> ideas to see if you get trades farther down the
alphabet. If you do, I
> was right :-)
>
> If you don't, well I can try
harder.
> --
> Terry
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On
> Behalf Of sebastiandanconia
> Sent: Wednesday, December 07, 2005
11:48
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: How to use
"positionscore" in this formula??
>
> A little more information, please.:) Does
the system test all
> the "A"s and then stop right before the
"B"s? Or is there a limit to
> the number of "A"s it tests, also? When you
use PositionScore, do
> you know that you're getting a full test on all
the stocks, or does
> the system still stop testing additional stocks
at a certain point,
> just farther into the alphabet?
>
> Not knowing all the details of what you're doing,
here's a trouble-
> shooting idea. Have you got a
position-limit set in Automatic
> Analysis or in the system code itself?
Without PositionScore, there
> would be no ranking of the stocks, they'd simply
be bought in
> alphabetical order from your watchlist as the
"buy" signals click
> off. If there's a position limit set, the
system would just buy
> stocks up to the position limit and stop.
After those stocks got
> sold and a new "buy" signal comes up, the system
will do the same
> thing over again, starting with the "A"s.
If there are enough stocks
> meeting the criteria to fill the portfolio from
within the "A"s, your
> system would never get to the "B"s. Anyway,
that's just a place to
> start looking.
>
> Also, in my (our) experience, if a free system
looks really great
> there's something wrong in the testing process,
LOL! In "Backtester
> Settings" under the "Trades" tab, see what the
settings are. My
> advice is to set them at "Open" with a 1-day
trade delay, otherwise
> your system is taking trades on the day of the
signal and not the
> NEXT day when you'd actually make the
trade. That will make your
> system returns artificially (and unrealistically)
high.
>
> Sorry if I've gone over stuff that you already
know. Most of my
> mistakes are simple ones that I just didn't think
of.:)
>
>
> Luck,
>
> Sebastian
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Roy Ewing"
<slickums76@xxxx> wrote:
> >
> > I found a very good "system" in the AFL
Library that produces very
> > good results for what I am trying to
backtest. Here it is, stripped
> > to the essentials:
> >
> >
---------------------------------------------------------------
> > // Formula Name:
STD_STK Multi
> > // Author/Uploader: Willem Jan
> >
> > STK=Optimize ("StK" , 14, 2, 18,
2);
> > STD=Optimize ("StD" ,16, 2, 18, 2);
> > pds =Optimize("pds", 10,2,18,2);
> >
> > Sell= Cross (EMA (StochD (STD),pds),EMA(
StochK (STK),pds));
> > Buy= Cross (EMA(StochK (STK),pds),EMA(
StochD (STD),pds));
> >
> > Filter=Buy OR Sell;
> >
> > Buy=ExRem(Buy,Sell);
> > Sell=ExRem(Sell,Buy);
> >
> > /* My Added POSITIONSCORE
*/
> > PositionScore = 100 + MFI(); //Also many
others tried!
> >
> >
----------------------------------------------------------------
> >
> > The problem is that w/o "POSITIONSCORE", I
never get out of
> the "A's"
> > during backtesting.
> >
> > I have had good results using
"positionscore" with other formulas,
> but
> > I have tried over 30 combinations of
different indicators here and
> the
> > results are MUCH WORSE. Not only a
little, but a lot worse.
> >
> > I can't believe the formula is so good that
nothing will help it,
> and
> > the fact that I can't get out of the "A's"
in my watchlist mean
> there
> > should be "better" trades.
> >
> > My watchlist is a list of "Optionable"
stocks from TC2005,
> backtesting
> > for 5 years (about 600
stocks).
> >
> > Any ideas?
> >
> > I have emailed the author, but his email
bounced.
> >
> > Thanks.
> >
> > Roy
> >
>
>
>
>
>
>
>
>
> Please note that this group is for discussion
between users only.
>
> To get support from AmiBroker please send an
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> SUPPORT {at} amibroker.com
>
> For other support material please check
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>
http://www.amibroker.com/support.html
>
>
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